Re: st: Newey-West(1987)

It means the t-statistic is based on a standrad error that is robust
against autocorrelation (and heteroskedasticity).
Also see -help newey-
Please read the FAQs on _full_ references. In this case just reading
the title of the respective paper would have given you a hint to
answer your question.
Best
Daniel
Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite,
heteroskedasticity and autocorrelation consistent covariance matrix.
Econometrica 55: 703–708.
--
Hi All,
Need help on Newey-West(1987).
I read a papaers which says "the raw return difference between decile 10 and
decile 1 is -1.03% per month with a corresponding Newey-West(1987)
t-statistic of -2.83", what does is means?
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/